Order Execution Probability and Order Queue in Limit Order Markets

被引：0

作者：

Zhang, Qiang ^{[1
]}

Wang, Chao ^{[1
]}

Liu, Shancun ^{[2
]}

Yang, Yaodong ^{[3
]}

机构：

[1] Beijing Univ Chem Technol, Sch Econ & Management, Beijing 100029, Peoples R China

[2] Beihang Univ, Sch Econ & Management, Beijing 100191, Peoples R China

[3] Unvers Coll London, Gower St, London WC1E 6BT, England

来源：

JOURNAL OF SYSTEMS SCIENCE & COMPLEXITY | 2020年 / 33卷 / 05期

基金：

中国国家自然科学基金;

关键词：

Cumulative execution probability; execution probability; limit order; limit order book; market order; PRICE DYNAMICS; BOOK; PLACEMENT; MODEL; COSTS; DEPTH; FACTS;

D O I：

10.1007/s11424-020-9100-5

中图分类号：

O1 [数学];

学科分类号：

0701 ; 070101 ;

摘要：

The shaping of a limit order book illustrates the dynamics of the trading process, the changing pattern of the execution probability of limit orders therefore plays an important role. This paper presents a computable execution probability model for limit order market, as well as a numerical example that intuitively characterizes the changing pattern of the execution probability. The common effects of the lengths of both buy and sell queues on the execution probability are explored. In the limit book, the cumulative probability of limit orders is introduced as a crucial index of market depth to describe the shaping process which brings new insights into the structure of the order placement decision.

引用

页码：1545 / 1557

页数：13

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